Financial Stability Report 2005:

Summary of the stability assessment

Lending to general public in the major banks’, sectoral breakdown December 2004 Source: Bank reports.

CHAPTER 1 Financial markets

Stock market indices Index: September 2002 = 100 Figure 1:1 Source: EcoWin.

Expected profits Percentage increase from 2004 Figure 1:2 Source: EcoWin.

Implied stock-market volatility Index Figure 1:3 Source: Bloomberg.

Ten-year government bond yields Per cent Figure 1:4 Sources: EcoWin.

Corporate bond spreads in the USA Percentage points Figure 1:5 Sources: EcoWin, Federal Reserve Board and Merrill Lynch.

Corporate bond spreads in Europe Percentage points Figure 1:6 Sources: J. P. Morgan and Merrill Lynch.

Credit default swap spreadar Figure 1:7 Source: Bloomberg.

Emerging market bond spreads Percentage points Figure 1:8 Source: Bloomberg.

Prices for oil and other commodities USD and index: February 2000 = 100 Figure 1:9 Sources: Bloomberg and EcoWin.

CHAPTER 2 The Swedish banks’ borrowers

Non-financial companies borrowing and bank deposits Twelve-month change, moving three-month average Figure 2:1 Source: The Riksbank.

Ratio of debt to total assets in listed companies Per cent of all listed companies Figure 2:2 Sources: Bloomberg and the Riksbank.

Cover for interest expenditure and debt in small and large companies Ratio Figure 2:3 Sources: UC AB and the Riksbank.

Breakdown of returns on equity in listed companies Per cent of all listed companies Figure 2:4 Sources: Bloomberg and the Riksbank.

Number of corporate defaults by company size Figure 2:5 Source: Statistics Sweden.

Corporate defaults broken down by industry Percentage 12-month change, moving 12-month average Figure 2:6 Source: Statistics Sweden.

Expected default frequency (EDF) by industry for listed non-financial companies Per cent (logarithmic scale) Figure 2:7 Sources: Moody’s KMV.

Expected default frequency (EDF) for listed non-financial companies Per cent (logarithmic scale) Figure 2:8 Sources: Moody’s KMV.

Cover for interest expenditure and debt for property companies Ratio Figure 2:9 Source: The Riksbank.

Expected default frequency (EDF) for listed property companies Per cent (logarithmic scale) Figure 2:10 Source: Moody´s KMV.

Real rents for office premises in central locations Index 1981 = 100 Figure B1 Sources: NewSec AB and the Riksbank.

Vacancy rates for office premises in central locations Per cent Figure B2 Sources: NewSec AB and the Riksbank.

Average direct return required for office premises in central locations Per cent Figure B3 Sources: Newsec AB, Jones Lang LaSalle and EcoWin.

Changes in metropolitan and national employment Per cent Figure B4 Sources: Statistics Sweden and the Riksbank.

Household borrowing by type of institution Percentage 12-month change Figure 2:11 Source: The Riksbank.

Household debt and house prices Index 1986 = 100 Source: Statistics Sweden. Figure 2:12

Household debt and post-tax interest expenditure as percentages of disposable income Per cent Figure 2:13 Sources: Statistics Sweden and the Riksbank.

Household wealth SEK billion Figure 2:14 Sources: Statistics Sweden and the Riksbank.

Length of fixed interest periods for house mortgage loans Per cent of total stock Figure 2:15 Source: The Riksbank.

CHAPTER 3 Developments in the banks

Implied volatility of bank equity Per cent, moving 10-day average Figure 3:1 Sources: Bloomberg and the Riksbank.

Profit before loan losses and net loan losses in the major banks Four-quarter figures. SEK billion, 2005 prices Figure 3:2 Sources: Bank reports and the Riksbank.

Post-tax return on equity in the major banks and the market’s required return Per cent Figure 3:3 Sources: Bank reports, Stockholmsbörsen and the Riksbank.

Pre-tax return on equity Figure 3:4 Sources: Bank reports and the Riksbank.

Post-tax return on equity Per cent Figure 3:5 Sources: Bank reports and the Riksbank.

Net interest margin and spreads for the major banks on deposits, bank loans and mortgage loans in Sweden Per cent, moving 4-quarter average Figure 3:6 Sources: Bank reports and the Riksbank.

Net commission income in the major banks and Nordic stock-markets index SEK million and index Figure 3:7 Sources: Bank reports, EcoWin, and the Riksbank.

Cost efficiency of the major banks Per cent Figure 3:8 Sources: Bank reports, EcoWin and the Riksbank.

Ratios of costs and income to assets I ndex: Handelsbanken = 100 Figure 3:9 Sources: Bank reports and the Riksbank.

Loan stocks in relation to GDP Per cent Figure B5 Source: The Riksbank.

Potential growth of the major banks’ lending in the Baltic states Per cent Figure R6 Sources: Bank reports and the Riksbank.

Stock of loans to the general public in Sweden and abroad Index: 2004 Q3 = 100 Sources: Bank reports and the Riksbank. Figure 3:10

Lending by credit institutions to companies in Sweden Percentage 12-month change, moving 3-month average Source: The Riksbank. Figure 3:11

Lending by credit institutions to households in Sweden Årlig Per centuell förändring Source: The Riksbank. Figure 3:12

Breakdown of time spent on loan screening Per cent Source: The Riksbank. Figure B7

Types of collateral in loan portfolios Per cent Source: The Riksbank. Figure B8

Interest mark-up for unsecured loans Number of officers Source: The Riksbank. Figure B9

Provisions for incurred and probable loan losses Per cent of loan stock, accumulated over four quarters Figure 3:13 Sources: Bank reports and the Riksbank.

Loan losses, net Per cent of lending Figure 3:14 Sources: Bank reports and the Riksbank.

Counterparty and settlement exposures SEK billion Figure 3:15 Source: The Riksbank.

Tier 1 capital ratio in the four major Swedish banks after one of them has defaulted. Recovery 25 per cent Per cent Figure 3:16 Source: The Riksbank.

The major banks’ deposit and loan stocks SEK billion Figure 3:17 Sources: Bank reports and the Riksbank.

Borrowing against securities by the Swedish banks and mortgage institutions of the major banks. Broken down by maturity. Per cent Figure 3:18 Source: The Riksbank.

Borrowing against securities by the Swedish banks and mortgage institutions of the major banks. Broken down by currency. Per cent Figure 3:19 Source: The Riksbank.

Tier 1 capital ratios Per cent Figure 3:20 Sources: Bank reports and the Riksbank.

Tier 1 capital ratios of the major Nordic banks Per cent Figure 3:21 Sources: Bank reports and the Riksbank.

ARTICLE House price developments in Sweden and abroad

Nominal house prices Annual percentage change Figure 1 – House price developments in Sweden and abroad Sources: EcoWin and Australian Property Monitor.

Nominal house prices Annual percentage change Figure 2 – House price developments in Sweden and abroad Source: EcoWin.

House prices in relation to rents Index: 1987 = 100 Sources: BIS and CBFSAI Financial Stability Report Figure 3 – House price developments in Sweden and abroad

House prices in relation to GDP Index: 1988 = 100 Sources: EcoWin and the Riksbank. Figure 4 – House price developments in Sweden and abroad

House prices in Sweden Index 1986 = 100 Source: Statistics Sweden. Figure 5 – House price developments in Sweden and abroad

Nominal house prices, real house prices and prices in relation to disposable income Index: 1957 = 100 Source: Statistics Sweden. Figure 6 – House price developments in Sweden and abroad

Share of total population in age group years (per cent) and real house prices Index: 1957 = 100 Figure 7 – House price developments in Sweden and abroad Source: Statistics Sweden.

Nominal house prices given a number of interest rate scenarios Annual percentage change Sources: Statistics Sweden and the Riksbank. Figure 8 – House price developments in Sweden and abroad